ToInvertibleTimeSeries

ToInvertibleTimeSeries[tproc]
returns an invertible version of a time series process tproc.

DetailsDetails

  • ToInvertibleTimeSeries produces an invertible time series process of the same type, with modified moving-average coefficients and noise covariance such that it preserves mean and covariance function.
  • An invertible time series representation is constructed by reflecting zeros of the corresponding transfer function outside the unit circle with regard to the unit circle. An invertible representation does not exist if there are zeros on the unit circle.
  • ToInvertibleTimeSeries requires numeric moving-average coefficients.
  • TimeSeriesInvertibility gives invertibility conditions for symbolic coefficients.
  • ToInvertibleTimeSeries can be used with time series processes such as MAProcess, ARMAProcess, ARIMAProcess, and FARIMAProcess.
Introduced in 2012
(9.0)